Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3645 |
| Annualized Std Dev | 0.5230 |
| Annualized Sharpe (Rf=0%) | -0.6970 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3247.0000 |
| NAs | 1.0000 |
| Minimum | -0.2742 |
| Quartile 1 | -0.0179 |
| Median | -0.0022 |
| Arithmetic Mean | -0.0013 |
| Geometric Mean | -0.0018 |
| Quartile 3 | 0.0143 |
| Maximum | 0.2423 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0024 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0011 |
| Stdev | 0.0329 |
| Skewness | 0.1821 |
| Kurtosis | 6.6553 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0228 |
| Gain Deviation | 0.0249 |
| Loss Deviation | 0.0230 |
| Downside Deviation (MAR=210%) | 0.0281 |
| Downside Deviation (Rf=0%) | 0.0235 |
| Downside Deviation (0%) | 0.0235 |
| Maximum Drawdown | 0.9989 |
| Historical VaR (95%) | -0.0500 |
| Historical ES (95%) | -0.0772 |
| Modified VaR (95%) | -0.0493 |
| Modified ES (95%) | -0.0647 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-12 | NA | -0.9989 | 2787 | 2781 | NA |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.3341 | 17 | 6 | 11 |
| 2008-01-23 | 2008-09-19 | 2008-10-06 | -0.3141 | 179 | 168 | 11 |
| 2007-03-06 | 2007-10-05 | 2007-11-21 | -0.2342 | 183 | 150 | 33 |
| 2008-10-10 | 2008-10-13 | 2008-10-23 | -0.2179 | 10 | 2 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -1.2 | 1.5 | 0.1 | -0.4 | -1.8 | 1.2 | -0.9 | -1.9 | -4.5 | 7.9 | -0.4 | 1.7 | 0.9 |
| 2008 | -5 | 5.1 | -7.5 | -3.8 | -0.7 | 0.1 | -0.7 | 1.9 | 1.9 | -10 | 24.2 | -6.7 | -5.1 |
| 2009 | 3.9 | 1 | -3.1 | 0.1 | -8.5 | -4.3 | -0.3 | 4 | 6.1 | 5.6 | -2.5 | 2.6 | 3.7 |
| 2010 | -1.8 | -4.1 | -1.8 | 6.2 | 5.6 | 1.6 | -0.1 | -7.5 | -1 | 1.2 | -4.2 | 2.6 | -4 |
| 2011 | -3.9 | 3.3 | -0.9 | 0.3 | 5.9 | -3.2 | 1.4 | 3.6 | 4.3 | 7.1 | 1 | 1.4 | 21.8 |
| 2012 | -3.8 | -0.9 | 0.5 | -0.4 | 6.4 | -6.8 | 1.7 | -0.5 | 0.3 | -2.2 | 0.9 | -3.8 | -9 |
| 2013 | -2.2 | 0.4 | 3.2 | 3.7 | 1.1 | -1.5 | -2.7 | 2.9 | -2.6 | 1.1 | -0.1 | -0.3 | 2.7 |
| 2014 | 1.5 | 0.8 | -2.7 | -0.2 | 1.3 | -1.4 | 1.3 | -0.8 | 1.9 | -2.2 | -1.5 | 1.4 | -0.7 |
| 2015 | 1.4 | 0 | 1.2 | -0.4 | 0.1 | -0.6 | 0.6 | 4.6 | 0.7 | 0.3 | -1.5 | 2.9 | 9.3 |
| 2016 | -0.5 | -0.4 | -1.1 | 5 | -0.9 | -4.4 | -0.7 | 0.8 | 1.7 | 0.8 | 2.5 | 0.1 | 2.6 |
| 2017 | 0.3 | -0.3 | -1.1 | 0 | -1.7 | 0.6 | -0.9 | -1.1 | -0.1 | -0.4 | 4.7 | 0.5 | 0.4 |
| 2018 | 0.8 | 1.3 | -3.4 | 0 | -1.8 | -0.3 | -1.9 | 0.7 | 2.9 | -4 | 0.7 | -0.7 | -5.8 |
| 2019 | 0.1 | -1 | -2.5 | 1.8 | 2.7 | -0.2 | 3.4 | 0.1 | 3.8 | -3.2 | 1.1 | -0.8 | 5.3 |
| 2020 | 4.6 | 3.6 | 14.3 | 8.2 | -1.7 | 2.7 | 1.3 | -2.4 | -2.6 | 2.8 | -2.7 | -0.2 | 29.9 |
| 2021 | -3.5 | -5.7 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -9.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-25 2253. SPY 142. -0.0117 -0.002 0.0045 0.0348 0.124 0.243 0.256 GLD 64.1 -4.20e-3 0.0289
2 2007-01-26 2259. SPY 142. -0.0007 -0.0046 0.01 0.031 0.122 0.227 0.252 GLD 64.1 6.00e-4 0.0175
3 2007-01-29 2217. SPY 142. -0.0008 -0.0023 0.0033 0.0267 0.115 0.239 0.251 GLD 63.8 -5.10e-3 0.0167
4 2007-01-30 2186. SPY 143. 0.0052 -0.0001 0.002 0.0289 0.111 0.260 0.254 GLD 64.2 7.10e-3 -0.0002
5 2007-01-31 2146. SPY 144. 0.0067 -0.0014 0.0108 0.0423 0.119 0.267 0.304 GLD 64.8 9.50e-3 0.0078
6 2007-02-01 2121. SPY 145. 0.006 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 6.00e-3 0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
